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Improving GDP measurement: A measurement-error perspective

S. Boragan Aruoba, Francis Diebold, Jeremy Nalewaik, Frank Schorfheide and Dongho Song

Journal of Econometrics, 2016, vol. 191, issue 2, 384-397

Abstract: We provide a new measure of historical U.S. GDP growth, obtained by applying optimal signal-extraction techniques to the noisy expenditure-side and income-side GDP estimates. The quarter-by-quarter values of our new measure often differ noticeably from those of the traditional measures. Its dynamic properties differ as well, indicating that the persistence of aggregate output dynamics is stronger than previously thought.

Keywords: Income; Output; Expenditure; Business cycle; Expansion; Contraction; Recession; Turning point; State-space model; Dynamic factor model; Forecast combination (search for similar items in EconPapers)
JEL-codes: E01 E32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (45)

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Working Paper: Improving GDP measurement: a measurement-error perspective (2013) Downloads
Working Paper: Improving GDP Measurement: A Measurement-Error Perspective (2013) Downloads
Working Paper: Improving GDP Measurement: A Measurement-Error Perspective (2013) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:191:y:2016:i:2:p:384-397

DOI: 10.1016/j.jeconom.2015.12.009

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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